Estimating and Testing Nonlinear Local Dependence Between Two Time Series

DOI10.1080/07350015.2017.1407777zbMATH Open1548.62581MaRDI QIDQ6634895FDOQ6634895

Authors: Virginia Lacal, Dag Tjøstheim 

Publication date: 8 November 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• The jackknife and the bootstrap for general stationary observations
• Modelling Nonlinear Economic Time Series
• Locally parametric nonparametric density estimation
• Measuring nonlinear dependence in time-series, a distance correlation approach
• The Stationary Bootstrap
• Brownian distance covariance
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Title not available (Why is that?)
• A nonparametric test of serial independence based on the empirical distribution function
• Generalized Spectral Tests for Serial Dependence
• Estimation of entropy and other functionals of a multivariate density
• Local Gaussian correlation: a new measure of dependence
• Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
• Local Gaussian Autocorrelation and Tests for Serial Independence
• Testing independence for multivariate time series via the auto-distance correlation matrix
• Conditional density estimation using the local Gaussian correlation
• The locally Gaussian density estimator for multivariate data

Cited In (2)

• Testing for time-varying nonlinear dependence structures: regime-switching and local Gaussian correlation
• The Locally Gaussian Partial Correlation

This page was built for publication: Estimating and Testing Nonlinear Local Dependence Between Two Time Series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6634895)